Limits to consistent on-line forecasting for ergodic time series

Details Limits to consistent on-line forecasting for ergodic time series Limits to consistent on-line forecasting for ergodic time series

2007-12-14

arxiv.org/abs/0712.2430v1

IEEE Trans. Inform. Theory 44 (1998), no. 2, 886--892

Mathematics

Probability

Scientific paper

This study concerns problems of time-series forecasting under the weakest of assumptions. Related results are surveyed and are points of departure for the developments here, some of which are new and others are new derivations of previous findings. The contributions in this study are all negative, showing that various plausible prediction problems are unsolvable, or in other cases, are not solvable by predictors which are known to be consistent when mixing conditions hold.

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